1. This discussion is about interlinking own sites with a no-follow. It's not about exchanging links.
2. CaptainSalad2 has a good reason to interlink, to refer traffic between his sites. It's our traffic, we can do what we want with it and maintain our rankings if we do within Google's guidelines. Publishers who don't care about the rankings are free to interlink anyway they wish.
3. CaptainSalad2 has a valid concern. If someone should report his site (because they didn't see the no-follow), the site might receive extra scrutiny and lose rankings for some other reason apart from no-follow. It's within the realm of possiblities, like getting hit by a bus while stepping off a curb.
There are a lot of bad things that can happen. Dwelling on all the bad things that can happen is just going to cause anxiety.
4. I think the majority of spam reports get dealt with in an automated fashion and the no-follows will cause the report to be dismissed.